Search found 98 matches
- Wed Jun 24, 2009 3:14 pm
- Forum: Money Management
- Topic: Varying positionsize based on recent results or indicators
- Replies: 2
- Views: 4137
- Tue Jun 16, 2009 7:47 am
- Forum: Testing and Simulation
- Topic: Question for Trading Blox users
- Replies: 14
- Views: 10605
As I understand it the hypothesis is that the current system draw down has predictive value for the 5 year CAGR figure 5 years in the future. It would seem to me that Monte Carlo testing is ideal for testing the statistical soundness of this type of statement. It is insufficient to rely solely on lo...
- Sat Jun 13, 2009 2:01 pm
- Forum: Testing Software
- Topic: Benefits of custom software vs. Trading Blox
- Replies: 18
- Views: 14982
- Mon Jun 08, 2009 7:20 pm
- Forum: Testing and Simulation
- Topic: Measuring a systems performance accurately
- Replies: 2
- Views: 3021
I would recommend the following for a good read on this subject
http://www.amazon.com/Evidence-Based-Te ... ingblox-20
http://www.amazon.com/Evidence-Based-Te ... ingblox-20
- Thu Mar 26, 2009 5:50 pm
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860
- Wed Mar 25, 2009 8:55 pm
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860
Try the following link to an open source technical analysis library. http://ta-lib.org/index.html One of the TA studies is HT_PHASOR, which is essentially the inphase and quadrature components from which the SNR is calculated. You should be able to link this library to MATLAB. You might also want to...
- Mon Mar 23, 2009 6:31 pm
- Forum: Money Management
- Topic: simple money management...
- Replies: 13
- Views: 15391
The following link has some interesting stuff about the Kelly formula as well as freely down-loadable spreadsheets. http://www.gummy-stuff.org/kelly-ratio.htm Personally I would not use Kelly to calculate optimal trade risk but, taking on board what Sluggo said about multiple, simultaneous positions...
- Mon Mar 23, 2009 6:14 pm
- Forum: Testing and Simulation
- Topic: how to "rate" a system?
- Replies: 17
- Views: 10623
- Sun Mar 22, 2009 11:11 am
- Forum: Testing and Simulation
- Topic: how to "rate" a system?
- Replies: 17
- Views: 10623
- Wed Feb 18, 2009 5:28 pm
- Forum: Testing and Simulation
- Topic: Question about the free historical data
- Replies: 2
- Views: 2489
- Wed Feb 18, 2009 3:32 pm
- Forum: Testing and Simulation
- Topic: Question about the free historical data
- Replies: 2
- Views: 2489
Question about the free historical data
I have a quick question about the free historical data provided by this site. For some of the futures contracts data there are two text files, for example, BO20_10B.TXT and BO_0_10B.TXT. Could anyone explain what the difference between the two text files is?
- Tue Jan 13, 2009 7:22 am
- Forum: Money Management
- Topic: How to deal with correlated instruments
- Replies: 15
- Views: 11703
Alp, I would argue that, conceptually, trading forex cross rates is akin to spread trading in commodities and as such, why would you expect a LTTF approach with LTTF parameters based on the majors to work in such a spread trading scenario? This might explain why there was such a reduction in portfol...
- Thu Jan 08, 2009 6:43 am
- Forum: Testing and Simulation
- Topic: Simulating volatility
- Replies: 4
- Views: 3383
Sluggo, an interesting suggestion and links, but I actually do want an algorithm that randomly generates volatility clustering rather than recreating the clustering that has historically occured, although I would like the random clustering to have similar statistical properties to real prices. My in...
- Wed Jan 07, 2009 6:45 am
- Forum: Testing and Simulation
- Topic: Simulating volatility
- Replies: 4
- Views: 3383
Simulating volatility
For the purpose of creating synthetic price series, can anyone suggest algorithms that replicate the volatility clustering that real price series display?
- Fri Dec 05, 2008 4:01 pm
- Forum: Money Management
- Topic: Constant risk as % of account
- Replies: 4
- Views: 5843
- Sat Nov 15, 2008 3:23 pm
- Forum: Testing and Simulation
- Topic: Trade Simulator for Practice
- Replies: 1
- Views: 2140
- Wed Nov 05, 2008 7:27 am
- Forum: Testing Software
- Topic: Software for visual inspection of charts
- Replies: 8
- Views: 8840
If you use Linux/Unix, try SEDalp wrote:A bit off topic, but do you also know of any stand-alone software to handle and convert data files, such as convertion of format, edition of custom fields, delimiters, etc.
http://www.grymoire.com/Unix/Sed.html#uh-0
- Wed Nov 10, 2004 4:42 pm
- Forum: Trend Indicators and Signals
- Topic: MESA & related
- Replies: 25
- Views: 35860